The profile likelihood estimation for single-index ARCH(\(p\))-M model
type: Item
instance of: scholarly article
title: The profile likelihood estimation for single-index ARCH(\(p\))-M model
zbMATH Open document ID: 1407.62333
DOI: 10.1155/2014/189426
author: Qiang Xiong
author: XingFa Zhang
author: Yuan Li
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: We propose a class of single-index ARCH(\(p\))-M models and investigate estimators of the parametric and nonparametric components. We first estimate the nonparametric component using local linear smoothing technique and then construct an estimator of parametric component by using profile quasimaximum likelihood method. Under regularity conditions, the asymptotic properties of our estimators are established.
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 7015878
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/189426
OpenAlex ID: W1995359727
Wikidata QID: Q59063651
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description: scientific article; zbMATH DE number 7015878